Related papers: Stochastic Gradient Flow Dynamics of Test Risk and…
Diffusion approximation provides weak approximation for stochastic gradient descent algorithms in a finite time horizon. In this paper, we introduce new tools motivated by the backward error analysis of numerical stochastic differential…
In this contribution, we present a full overview of the continuous stochastic gradient (CSG) method, including convergence results, step size rules and algorithmic insights. We consider optimization problems in which the objective function…
Many systems in physics, engineering, and biology exhibit multiscale stochastic dynamics, where low-dimensional slow variables evolve under the influence of high-dimensional fast processes. In practice, observations are often limited to a…
Convolutional neural networks are widely used in imaging and image recognition. Learning such networks from training data leads to the minimization of a non-convex function. This makes the analysis of standard optimization methods such as…
Understanding the behavior of stochastic gradient methods is a central problem in modern machine learning. Recent work has highlighted diagonal linear networks as a simplified yet expressive setting for analyzing the optimization and…
We consider policy gradient methods for stochastic optimal control problem in continuous time. In particular, we analyze the gradient flow for the control, viewed as a continuous time limit of the policy gradient method. We prove the global…
We consider the setting of multiscale overdamped Langevin stochastic differential equations, and study the problem of learning the drift function of the homogenized dynamics from continuous-time observations of the multiscale system. We…
Accelerated gradient descent iterations are widely used in optimization. It is known that, in the continuous-time limit, these iterations converge to a second-order differential equation which we refer to as the accelerated gradient flow.…
Stochastic gradient algorithms have been the main focus of large-scale learning problems and they led to important successes in machine learning. The convergence of SGD depends on the careful choice of learning rate and the amount of the…
Stochastic gradient descent updates parameters with summation gradient computed from a random data batch. This summation will lead to unbalanced training process if the data we obtained is unbalanced. To address this issue, this paper takes…
Our work is part of the close link between continuous-time dissipative dynamical systems and optimization algorithms, and more precisely here, in the stochastic setting. We aim to study stochastic convex minimization problems through the…
Advanced measurement techniques and high performance computing have made large data sets available for a wide range of turbulent flows that arise in engineering applications. Drawing on this abundance of data, dynamical models can be…
Distributionally robust optimization (DRO) problems are increasingly seen as a viable method to train machine learning models for improved model generalization. These min-max formulations, however, are more difficult to solve. We therefore…
This paper considers policy search in continuous state-action reinforcement learning problems. Typically, one computes search directions using a classic expression for the policy gradient called the Policy Gradient Theorem, which decomposes…
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
Given a one-dimensional stochastic differential equation, one can associate to this equation a stochastic flow on $[0,+\infty )$, which has an absorbing barrier at zero. Then one can define its dual stochastic flow. In \cite{AW}, Akahori…
In this book chapter, we briefly describe the main components that constitute the gradient descent method and its accelerated and stochastic variants. We aim at explaining these components from a mathematical point of view, including…
Numerous models for supervised and reinforcement learning benefit from combinations of discrete and continuous model components. End-to-end learnable discrete-continuous models are compositional, tend to generalize better, and are more…
In the machine learning literature stochastic gradient descent has recently been widely discussed for its purported implicit regularization properties. Much of the theory, that attempts to clarify the role of noise in stochastic gradient…